Using the data provided in sheets 'Weights' and 'Asset Returns', please build a portfolio that replicates the XLV$-$US EFT and report for the replica portfolio the annualised:

arithmetic average return $,$

standard deviation $,$

downside risk $,$

sharpe ratio

sortino ratio

The replica portfolio will calculate the daily returns using the individual asset returns on the day and the corresponding weights.

Note $1$:

the weights on $1$ Sep $23$ are valid between $1$ Sep $23$ and $30$ Nov $23$

the weights on $1$ Dec $23$ are valid between $1$ Dec $23$ and $29$ Feb $24,$

the weights on $1$ Mar $24$ are valid between $1$ Mar $24$ and $31$ May $24,$

the weights on $1$ Jun $24$ are valid between $1$ Jun $24$ and $30$ Aug $24$

Note $2$:

For return, standard deviation and downside risk, a $5\mathrm{.}574\%$should be reported as$0\mathrm{.}05574$

For the ratios, please report using $2$ decimal places, e$.$g$.1\mathrm{.}23$

Note $3$:

to calculate the daily Downside Risk, please use the Daily $1$yr T$.$ Bill rate as the threshold$$

to calculate the Sharpe and Sortino ratios, please annualise the $30$ Aug $2024$ Daily $1$yr T$.$ Bill rate Using the data provided in sheets 'Weights' and 'Asset Returns', please build a portfolio that replicates the XLV$-$US EFT and report for the replica portfolio the annualised:

$-$ arithmetic average return

$-$ standard deviation

$-$ downside risk

$-$ sharpe ratio

$-$ sortino ratio

The replica portfolio will calculate the daily returns using the individual asset returns on the day and the corresponding weights.

Note $1$:

$-$ the weights on $1$ Sep $23$ are valid between $1$ Sep $23$ and $30$ Nov $23$

$-$ the weights on $1$ Dec $23$ are valid between $1$ Dec $23$ and $29$ Feb $24,$

$-$ the weights on $1$ Mar $24$ are valid between $1$ Mar $24$ and $31$ May $24,$

$-$ the weights on $1$ Jun $24$ are valid between $1$ Jun $24$ and $30$ Aug $24$

Note $2$:

$-$ For return, standard deviation and downside risk, a $\backslash (5\mathrm{.}574\backslash \%\backslash )$ should be reported as $0\mathrm{.}05574$

$-$ For the ratios, please report using $2$ decimal places, e$.$g$.1\mathrm{.}23$

Note $3$:

$-$ to calculate the daily Downside Risk, please use the Daily $1$yr T$.$ Bill rate as the threshold

$-$ to calculate the Sharpe and Sortino ratios, please annualise the $30$ Aug $2024$ Daily $1$ yr T$.$ Bill rate Daily Risk Free Rate